Artikel
A competing risks model with time-varying heterogeneity and simultaneous failure
This paper proposes a new bivariate competing risks model in which both durations are the first passage times of dependent Lévy subordinators with exponential thresholds and multiplicative covariates effects. Our specification extends the mixed proportional hazards model, as it allows for the time-varying heterogeneity represented by the unobservable Lévy processes and it generates the simultaneous termination of both durations with positive probability. We obtain nonparametric identification of all model primitives given competing risks data. A flexible semiparametric estimation procedure is provided and illustrated through the analysis of a real dataset.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 11 ; Year: 2020 ; Issue: 2 ; Pages: 535-577 ; New Haven, CT: The Econometric Society
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models
Duration Analysis; Optimal Timing Strategies
- Thema
-
Duration analysis
competing risks
first passage times
nonparametric identification
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Liu, Ruixuan
- Ereignis
-
Veröffentlichung
- (wer)
-
The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2020
- DOI
-
doi:10.3982/QE1159
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Liu, Ruixuan
- The Econometric Society
Entstanden
- 2020
Ähnliche Objekte (12)
The time-varying evolution of inflation risks
Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
Time-varying interactions between geopolitical risks and renewable energy consumption
Time-varying linear systems
Time-Varying Occupational Contents
Time-Varying Network Optimization
Time-varying local projections
Estimating Time-Varying Networks
Time-varying parking prices
Competing risks models
Robustness of time-varying systems
Time-varying instrumental variable estimation
The time-varying evolution of inflation risks
Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
Time-varying interactions between geopolitical risks and renewable energy consumption
Time-varying linear systems
Time-Varying Occupational Contents
Time-Varying Network Optimization
Time-varying local projections
Estimating Time-Varying Networks
Time-varying parking prices
Competing risks models
Robustness of time-varying systems
Time-varying instrumental variable estimation
The time-varying evolution of inflation risks
Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
Time-varying interactions between geopolitical risks and renewable energy consumption
Time-varying linear systems
Time-Varying Occupational Contents
Time-Varying Network Optimization
Time-varying local projections
Estimating Time-Varying Networks
Time-varying parking prices
Competing risks models
Robustness of time-varying systems